Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0000 |
| Annualized Std Dev | 0.1277 |
| Annualized Sharpe (Rf=0%) | 0.0002 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3626.0000 |
| NAs | 1.0000 |
| Minimum | -0.0813 |
| Quartile 1 | -0.0031 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0035 |
| Maximum | 0.0811 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0080 |
| Skewness | -0.6713 |
| Kurtosis | 19.2402 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0060 |
| Gain Deviation | 0.0057 |
| Loss Deviation | 0.0069 |
| Downside Deviation (MAR=210%) | 0.0111 |
| Downside Deviation (Rf=0%) | 0.0060 |
| Downside Deviation (0%) | 0.0060 |
| Maximum Drawdown | 0.3872 |
| Historical VaR (95%) | -0.0111 |
| Historical ES (95%) | -0.0199 |
| Modified VaR (95%) | -0.0115 |
| Modified ES (95%) | -0.0136 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-26 | 2009-02-02 | NA | -0.3872 | 3414 | 384 | NA |
| 2007-02-23 | 2007-03-05 | 2007-03-22 | -0.0403 | 20 | 7 | 13 |
| 2006-10-25 | 2006-11-27 | 2006-12-15 | -0.0257 | 37 | 23 | 14 |
| 2007-01-23 | 2007-02-01 | 2007-02-21 | -0.0188 | 21 | 8 | 13 |
| 2007-06-20 | 2007-06-27 | 2007-07-09 | -0.0137 | 13 | 6 | 7 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 | 0.2 | -0.4 | -0.2 | -0.4 |
| 2007 | -0.3 | -0.5 | 0.1 | 0.3 | 0.7 | -0.5 | 0.2 | 0.2 | 0.8 | -1.4 | 1 | 0.1 | 1 |
| 2008 | 0.9 | -2 | 0.7 | 0.1 | -0.3 | -0.4 | -0.8 | -0.4 | 0 | -0.2 | -4.6 | 4.7 | -2.6 |
| 2009 | -1.1 | -1.4 | -0.5 | 0.8 | 2.1 | -0.4 | 0.4 | -1.7 | -1 | -1.9 | 1.1 | 0.8 | -2.8 |
| 2010 | 0.6 | 0.5 | 0.4 | -0.4 | -0.6 | -0.1 | 0.8 | 2.3 | 0.5 | 0.5 | 1.7 | 0.5 | 7 |
| 2011 | 0.6 | -0.3 | 1.1 | 0 | -1.5 | 0.4 | 0 | -0.4 | -0.4 | -1.4 | -0.3 | 0.4 | -1.6 |
| 2012 | 0.7 | 0.4 | 0.2 | -0.2 | -0.6 | 1.3 | -0.2 | 0.1 | -0.3 | 0.6 | 0.1 | 0.8 | 3.2 |
| 2013 | 0.5 | 0.3 | -0.6 | -0.8 | -1 | 0.3 | 0 | -0.6 | 0.2 | 0.2 | 0.1 | 0.7 | -0.7 |
| 2014 | -0.2 | -0.4 | -0.1 | 0.1 | 0.2 | 0.3 | 0.1 | 0.1 | -0.4 | 1 | 0.2 | 0.4 | 1.2 |
| 2015 | 0.3 | 0.4 | -0.4 | -0.9 | -0.4 | 0.4 | -0.3 | -1.7 | 0 | 0.8 | 0.8 | 0.6 | -0.4 |
| 2016 | 0 | 1 | -0.3 | -0.2 | 0.1 | 0 | -0.6 | -0.2 | 0.3 | -0.2 | 0.2 | -0.4 | -0.3 |
| 2017 | 0 | 0.1 | 0 | 0.4 | 0 | 0.2 | 0.1 | 0.5 | -0.1 | 0.2 | 0.6 | -0.4 | 1.4 |
| 2018 | -0.9 | -1.1 | 0.9 | 0 | -0.2 | -0.6 | 0.1 | -0.2 | 1.5 | 0.2 | 0.6 | 1.6 | 2 |
| 2019 | 0.2 | -0.2 | 0.4 | -0.5 | -0.4 | 0.7 | -0.7 | 0.2 | -0.7 | 0.5 | -0.6 | 0.1 | -1 |
| 2020 | -0.6 | -0.7 | -0.6 | -2.1 | 1.1 | -0.2 | 0.8 | 0 | 0 | 0.1 | -0.2 | 0.6 | -1.9 |
| 2021 | 0.1 | 0.6 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-18 25.1 SPY 132. 0.0014 0.0133 0.0162 0.0685 0.07 0.278 0.267 GLD 58.2 0.0145 -0.0046
2 2006-09-19 25.0 SPY 132. -0.0025 0.0009 0.0086 0.0622 0.0708 0.260 0.267 GLD 56.9 -0.0225 -0.0238
3 2006-09-20 25 SPY 133. 0.0053 0.0022 0.0183 0.06 0.0857 0.278 0.300 GLD 57.3 0.006 -0.0232
4 2006-09-21 24.9 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 0.0121 0.0133
5 2006-09-22 24.8 SPY 131. -0.003 -0.0037 0.0132 0.0565 0.0835 0.277 0.352 GLD 58.5 0.0095 0.0192
6 2006-09-25 25 SPY 132. 0.0077 0.0026 0.0218 0.0599 0.0909 0.310 0.316 GLD 58.5 0 0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
